The advantages to full-blown Linux are, you can add more applications, and it's faster to run from hard disk than from CD-ROM. (I've never tried running from a USB memory stick.)

The advantages to Knoppix and other "live CDs" are, they're trivial to install, they don't mess up your hard drive, and they're super secure (you can't corrupt the OS). If you're just going to boot up and launch one application, like a web browser, Knoppix should work great.